A-Share Screen for Recent Limit-Ups and Moderate Opening Gains

Summary

This A-share screening rule combines three conditions: intraday amplitude above 1, more than two limit-up sessions within the past ten days, and a 9:25 gain below 6%. The note frames recent limit-up frequency as a sign of short-term trading interest, while the opening-gain cap may avoid selecting stocks that have already risen sharply before the session. It suggests combining these filters with other technical indicators and risk controls, and periodically reviewing the strategy through backtesting.

The document offers formula and Python examples, but they are references rather than a tested implementation. It gives no performance data, benchmark, or detailed definition for several measures; the sample code also appears to handle the conditions inconsistently. The note warns that opening prices reflect market sentiment, limit-up counts may say little about fundamentals, and this short-term screen may be unsuitable for long-term investing. Results would depend on precise data definitions and execution assumptions.

Key ideas

• The screen requires amplitude above 1 and more than two limit-up days in the prior ten days.
• It also caps the 9:25 gain below 6% to avoid stocks with larger early moves.
• The note recommends adding technical filters and explicit stop and profit-taking rules.
• It provides formula and Python references but reports no backtest results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.